Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0084 |
| Annualized Std Dev | 0.4002 |
| Annualized Sharpe (Rf=0%) | -0.0210 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3709.0000 |
| NAs | 1.0000 |
| Minimum | -0.1706 |
| Quartile 1 | -0.0121 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0128 |
| Maximum | 0.1623 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0006 |
| Stdev | 0.0252 |
| Skewness | -0.2273 |
| Kurtosis | 5.7445 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0182 |
| Gain Deviation | 0.0174 |
| Loss Deviation | 0.0187 |
| Downside Deviation (MAR=210%) | 0.0225 |
| Downside Deviation (Rf=0%) | 0.0180 |
| Downside Deviation (0%) | 0.0180 |
| Maximum Drawdown | 0.8734 |
| Historical VaR (95%) | -0.0368 |
| Historical ES (95%) | -0.0598 |
| Modified VaR (95%) | -0.0399 |
| Modified ES (95%) | -0.0692 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-07-01 | 2016-01-19 | NA | -0.8734 | 3203 | 1901 | NA |
| 2006-07-05 | 2006-10-03 | 2006-11-29 | -0.2196 | 103 | 63 | 40 |
| 2007-07-16 | 2007-08-16 | 2007-10-26 | -0.2182 | 74 | 24 | 50 |
| 2007-12-11 | 2008-01-17 | 2008-02-19 | -0.1901 | 47 | 26 | 21 |
| 2008-02-29 | 2008-03-20 | 2008-04-08 | -0.1486 | 27 | 15 | 12 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 0.4 | -1.2 | 1.7 | 0.1 | -1.8 | -0.7 | -1.1 | -2.7 |
| 2007 | 1.9 | -0.6 | -0.2 | -1.1 | 1.4 | 0.7 | -0.8 | 2.6 | 1.5 | -4.5 | -0.4 | -1.1 | -1 |
| 2008 | 4.3 | -4.8 | 2.3 | -1.7 | 3.1 | -1.8 | -4 | -1.1 | -3.6 | 2.2 | -15.3 | 2.4 | -17.8 |
| 2009 | -4.8 | -1.2 | 5 | 5.5 | 6.8 | 0 | 2.9 | -2.5 | -4.6 | -4.4 | 1.8 | -1.1 | 2.3 |
| 2010 | 5.9 | 2.2 | 2.3 | -2.2 | -5.6 | -1.1 | 0.9 | 4.1 | 1.9 | 0.6 | 3.2 | -0.3 | 11.9 |
| 2011 | 2.8 | -2.2 | 0.3 | 1.3 | -3.5 | 0.7 | -0.2 | -1.9 | -3.3 | -3 | -0.9 | 0.9 | -8.9 |
| 2012 | 1.5 | 1.2 | 0.1 | 0.8 | 0.4 | 3.7 | -0.2 | 1.6 | 0.3 | 3.8 | -0.1 | 3.5 | 17.7 |
| 2013 | 1.1 | -2 | -2.5 | -1.9 | -2.3 | 0.8 | -0.1 | -1.1 | 0.4 | 1.3 | 0.6 | 0.9 | -4.8 |
| 2014 | -0.4 | -0.6 | 0.4 | 0 | -1.3 | 0.1 | -0.2 | 1 | -2.9 | 1.9 | -2.7 | -0.6 | -5.2 |
| 2015 | 1.2 | -0.2 | -3.5 | 0.9 | -0.8 | -1.5 | -1.4 | -4.7 | -0.9 | -0.1 | 1.8 | -0.9 | -9.8 |
| 2016 | -0.9 | 1.8 | 0.6 | 1.6 | -0.2 | 2.4 | -0.7 | 1.1 | 0.2 | -0.2 | 0.6 | -3 | 3.2 |
| 2017 | -0.8 | 3 | 0.8 | -0.6 | 0.7 | 0 | -1.7 | 1.7 | 0.3 | 0.7 | 0.6 | -0.1 | 4.7 |
| 2018 | 0.4 | 2.5 | 3 | -1.4 | 0.9 | 0.6 | -0.8 | 0.4 | 0.7 | 2.6 | 0.1 | 0 | 9.2 |
| 2019 | -0.7 | 0.3 | 1.8 | -2.5 | -1.3 | -0.7 | -2.8 | 0.3 | -0.9 | 3.1 | -0.4 | 0.4 | -3.3 |
| 2020 | -2 | -1.9 | -2 | -2.2 | 2.4 | -2.2 | -0.9 | 1 | 1.1 | 0.1 | 4.6 | 0.1 | -2.1 |
| 2021 | 4.4 | 4.8 | -0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 8.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-06-22 45.1 SPY 124. -0.0044 -0.0132 -0.0057 -0.0434 0.0238 0.265 0.0214 GLD 57.7 -0.0103 0.0072
2 2006-06-23 46.0 SPY 124. -0.0002 -0.0017 -0.0137 -0.0443 0.0382 0.263 0.0262 GLD 58.0 0.0045 0.0054
3 2006-06-26 46.3 SPY 125. 0.0044 0.0107 -0.0215 -0.0387 0.0505 0.282 0.0263 GLD 58.3 0.005 0.0341
4 2006-06-27 46.0 SPY 124. -0.0086 -0.0015 -0.0348 -0.0411 0.0399 0.254 0.0121 GLD 57.7 -0.0103 0.0066
5 2006-06-28 46.3 SPY 125. 0.0068 -0.0021 -0.0107 -0.0406 0.0383 0.277 0.0075 GLD 57.5 -0.00240 -0.0135
6 2006-06-29 49.3 SPY 127. 0.0202 0.0226 -0.0019 -0.0195 0.0621 0.304 0.036 GLD 59.5 0.0344 0.031
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
